Data Science Commons^™

A Novel Correction For The Multivariate Ljung-Box Test, Minhao Huang

Computational and Data Sciences (PhD) Dissertations

This research introduces an analytical improvement to the Multivariate Ljung-Box test that addresses significant deviations of the original test from the nominal Type I error rates under almost all scenarios. Prior attempts to mitigate this issue have been directed at modification of the test statistics or correction of the test distribution to achieve precise results in finite samples. In previous studies, focused on designing corrections to the univariate Ljung-Box, a method that specifically adjusts the test rejection region has been the most successful of attaining the best Type I error rates. We adopt the same approach for the more complex, …

A Novel Correction For The Adjusted Box-Pierce Test, Sidy Danioko, Jianwei Zheng, Kyle Anderson, Alexander Barrett, Cyril S. Rakovski

Mathematics, Physics, and Computer Science Faculty Articles and Research

The classical Box-Pierce and Ljung-Box tests for auto-correlation of residuals possess severe deviations from nominal type I error rates. Previous studies have attempted to address this issue by either revising existing tests or designing new techniques. The Adjusted Box-Pierce achieves the best results with respect to attaining type I error rates closer to nominal values. This research paper proposes a further correction to the adjusted Box-Pierce test that possesses near perfect type I error rates. The approach is based on an inflation of the rejection region for all sample sizes and lags calculated via a linear model applied to simulated …

A Novel Correction For The Adjusted Box-Pierce Test — New Risk Factors For Emergency Department Return Visits Within 72 Hours For Children With Respiratory Conditions — General Pediatric Model For Understanding And Predicting Prolonged Length Of Stay, Sidy Danioko

Computational and Data Sciences (PhD) Dissertations

This thesis represents the results of three research projects that underline the breadth and depth of my interests.

Firstly, I devoted some efforts to the well-known Box-Pierce goodness-of-fit tests for time series models which has been an important research topic over the last few decades. All previously proposed tests are focused on changes of the test statistics. Instead, I adopted a different approach that takes the best performing test and modifying the rejection region. Thus, I developed a semiparametric correction of the Adjusted Box-Pierce test that attains the best I error rates for all sample sizes and lags and outperforms …